We decompose the conditional expected mutual fund return in ve parts. Two parts, selectivity and expert market timing, can be attributed to manager skill, and three to variation in market exposure that can be achieved by private investors as well. The dynamic model that we use to estimate the relative importance of the components in the decomposition is a generalization of the performance evaluation models by Lockwood and Kadiyala (1988) and Ferson and Schadt (1996). We nd that the restrictions imposed in existing models may lead to di$erent inferences about manager selectivity and timing skill. The results from our sample of 78 asset allocation mutual funds indicate that several funds exhibit significant expert market timing, but for most funds variation in market exposures does not yield any economically signi cant return. Funds with high turnover and expense ratios are associated with managers with better skills.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number
95.
For technical questions regarding this item, or to correct its listing, contact: (Corry Stuyts).
Related research
Keywords:
Other versions of this item:
Paper
Swinkels, L. & Sluis, P.J. van der & Verbeek, M.J.C.M., 2003.
"Market timing: A decomposition of mutual fund returns,"
Research Paper
ERS-2003-074-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
[Downloadable!]
Find related papers by JEL classification: C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions G23 - Financial Economics - - Financial Institutions and Services - - - Pension Funds; Other Private Financial Institutions
This paper has been announced in the following NEP Reports:
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.: